Interpretation of historic grain price data may be hazardous owing to systematic grain quality variation – both cross sectionally and over varying time horizons (intra-year, inter-year, long run). We use the English wheat market, 1750-1914, as an example to quantify this issue. First, we show...

This paper constructs a time series of annuity rates in the U.K. for 1957-2002, and examines the pricing of U.K. annuities, and the relationship between the accumulation and decumulation phases of a defined contribution pension scheme by focusing on the properties of the pension replacement...

In this paper we construct a time series of annuity prices from 1972-2002, and examine whether annuity rates are unfairly priced, and assess the extent to which annuitisation risks are hedged by stock market returns. We find no evidence that the average annuity rate is unfairly low. Depending on...

Cointegration analysis has been used widely to quantify market integration through price arbitrage. We show that total price variability can be decomposed into: (i) magnitude of price shocks; (ii) correlation of price shocks; (iii) betweenperiod arbitrage. All three measures depend upon data...

From 1770 to 1914, the British Government collected weekly price and quantity data for all types of grain traded in many market towns; these ‘Corn Returns’ were published in the London Gazette. We computerised the data published 1770-1864, totalling around 6 million data points. Here we...

Parametric forecasts of future mortality improvements can be based on models with a small number of factors which summarise both the improvement in mortality and changes in the relationship between mortality and age. I extend the analysis of the two‐factor model of Cairns, Blake and Dowd...

Using data on historical returns on international financial assets, the paper simulates pension fund and pension replacement ratios, building up frequency distributions of these ratios for individuals saving in a defined contribution pension plan in different countries. These frequency...

We collect and analyse data on church collections to assess whether the introduction of Euro notes and coins had real effects on giving. Data for Italy suggests that money is not completely neutral while Irish data suggests a lower degree of money illusion.

Projected large changes in demographic profiles of developed countries over the next fifty years have led to increasing interest in the relationship between population structure and macroeconomic performance. Because demographic changes tend to be very slow, empirical analysis requires long time...